Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0085
Annualized Std Dev 0.1405
Annualized Sharpe (Rf=0%) -0.0606

Row

Daily Return Statistics

Close
Observations 5586.0000
NAs 1.0000
Minimum -0.1480
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0039
Maximum 0.1239
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0088
Skewness -1.3110
Kurtosis 51.8986

Downside Risk

Close
Semi Deviation 0.0066
Gain Deviation 0.0065
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0116
Downside Deviation (Rf=0%) 0.0066
Downside Deviation (0%) 0.0066
Maximum Drawdown 0.5553
Historical VaR (95%) -0.0116
Historical ES (95%) -0.0208
Modified VaR (95%) -0.0083
Modified ES (95%) -0.0083
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-10-10 2012-06-27 -0.5553 3391 2456 935
2012-11-30 2020-03-18 NA -0.4233 2090 1836 NA
2012-08-07 2012-08-22 2012-09-25 -0.0462 35 12 23
2012-10-26 2012-11-05 2012-11-19 -0.0359 15 5 10
2012-10-09 2012-10-12 2012-10-25 -0.0334 13 4 9

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 0.4 -0.4 -0.8 -1.3 0.5 0.5 0 1 0.5 0 1.1 1.4
2000 0 -0.5 0 0 1.2 0.6 0 0.5 0 0 0.5 1 3.3
2001 -0.3 0 0.7 -0.4 -0.6 0.1 0.2 0.1 1 0.1 -0.1 0.6 1.4
2002 -0.3 0.1 -0.4 0.2 0.5 1 0.7 0.5 -0.3 0.1 0.5 -0.2 2.2
2003 0.3 0.1 0.5 -0.1 0.4 0.6 0.7 0.2 0.1 0.5 -1.6 0 1.7
2004 0.1 0.3 0.7 0.5 -0.3 -0.2 0.2 0.2 -0.4 -0.2 -0.1 0.5 1.2
2005 -0.3 0.2 0.4 0.4 0.4 -0.3 0.1 0.4 0.1 0.1 0.7 -0.1 2.1
2006 -0.3 -0.7 0 -0.1 0.7 0.4 0.4 0.6 -0.1 0.1 0.2 1.1 2.3
2007 0 -0.1 0.3 0.6 -0.5 0.9 0.2 1.2 0.3 -0.5 0.6 2 5.1
2008 0.7 -1.1 -0.2 0 -0.2 0.2 0.1 -0.2 2.7 -0.6 -1.8 1.9 1.4
2009 0.2 1.6 0.3 -0.1 -0.3 0.1 1 0.2 0.5 -0.7 1.5 0.9 5.3
2010 -0.2 -0.2 0.1 0.2 0.3 -0.1 1.1 -0.8 0.7 0.5 -1.6 2.6 2.6
2011 0.5 0.3 -0.1 1 0.4 -0.1 1.6 -0.3 -0.6 0.5 1.3 0.5 5.3
2012 -0.5 0.4 0.5 0.5 -0.4 -0.2 0.6 0.6 0.6 0.3 -2.4 -0.8 -0.9
2013 -0.1 0.2 1.3 0.5 -2.7 -0.4 -0.6 0.2 -0.4 -1 -0.2 -1.4 -4.5
2014 0.1 -0.1 -0.8 0.4 -0.1 -0.6 0.3 0.7 0.5 -1.6 -0.4 0.6 -1
2015 0.3 0.3 0.6 -1.1 0 -0.3 1 0 0.2 0.9 0.2 -0.1 2
2016 0.7 0.8 0.2 -0.3 0.2 0.3 -1.7 -0.3 0.1 0 -1.4 0.3 -1.1
2017 -0.2 -0.8 -0.7 0.4 0.4 -0.4 1.3 0.3 0.1 0.3 0.6 0 1.5
2018 0.5 -0.1 1.3 0.1 -0.1 -0.1 -0.7 0 -0.1 -0.7 -0.6 -0.3 -0.8
2019 0.6 0.6 -0.6 0.4 0.2 -0.4 0.3 0.3 0.5 0.4 -0.4 0.4 2.3
2020 0.3 -4.6 -4.6 0.6 0.8 -0.1 0 1 0 0.2 0 0.6 -6.1
2021 0.5 0.2 -0.1 NA NA NA NA NA NA NA NA NA 0.6

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart